Um Modelo para a Previsão Conjunta do PIB, Inflação e Liquidez

This paper analyses an empirical relationship between Brazilian GNP, inflation and liquidity using structural VEC models. The main points of the paper are the following. First, we started from a relatively large set of possible liquidity indicators and searched for the most parsimonious representation in this set. We split the model into a marginal and a conditional block, using the Granger causality test for integrated variables as the separating criterium. This resulted in a marginal and a conditional model. Secondly, we estimated the marginal model in its VEC representation and could not reject the hypothesis that the marginal model has three common trends. One identifYing criterium of the model is the separation between the shocks that have permanent effects and the ones that only have transitory effects. Thirdly, we used additional restrictions, to identify the structural model and to interpret each permanent shock as an exogenous change in economic policy. We identified a real interest shock, an inflationary shock and a real shock. Finally, we show the impulseresponse functions to the identified permanent shocks.